Asymptotic Efficiencies of Sequential Tests
Berk, Robert H.
Ann. Statist., Tome 4 (1976) no. 1, p. 891-911 / Harvested from Project Euclid
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Some concepts of relative and absolute efficiency for sequential tests are considered. These are sequential analogs of Hodges-Lehmann and Chernoff efficiencies. Using these criteria, several sequential tests for the mean of a normal distribution are evaluated. Among them are Wald's SPRT, Anderson's triangular boundary, Bayes and APO tests and a repeated significance test. Truncated versions of these tests are also considered. Asymptotic expressions for the (expected) stopping times and error rates are given.
Publié le : 1976-09-14
Classification:  Sequential test,  asymptotic efficiency,  SPRT,  truncated sequential test,  Anderson's boundaries,  APO test,  Bayes sequential test,  repeated significance test,  Wiener process,  62L10,  62F05,  62F20,  60G40,  62E20 
@article{1176343587,
     author = {Berk, Robert H.},
     title = {Asymptotic Efficiencies of Sequential Tests},
     journal = {Ann. Statist.},
     volume = {4},
     number = {1},
     year = {1976},
     pages = { 891-911},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176343587}
}

Berk, Robert H. Asymptotic Efficiencies of Sequential Tests. Ann. Statist., Tome 4 (1976) no. 1, pp.  891-911. http://gdmltest.u-ga.fr/item/1176343587/